dnb bank dnb boligkreditt · dnb bank dnb boligkreditt . 2 content •dnb – a brief overview...

March 2018

DNB Bank

DNB Boligkreditt

2

Content

• DNB – A Brief Overview

• The Norwegian Economy

• Financial Targets, Performance and Capital

• Loan Book and Asset quality

• Funding

• Appendix: • Cover Pool Portfolio Information and LCR eligibility • Digitalization / Vipps • The Norwegian Mortgage Market • Capital and Tier 1 • Additional slides – Financial Performance and Other information • CRO Presentation Capital Markets Day 2017

3

DNB – A Brief Overview

4

DNB - Norway’s Leading Financial Services Group

• Approximately 30 % market share in Norway

• 34 % owned by the Norwegian Government

• Credit Ratings: • Moody's: Aa2 (negative)

• S&P: A+ (stable)

5

The DNB Group

100% owned by DNB Bank and functionally an integrated part of the parent

Mortgages originated within DNB Bank’s distribution network in accordance with the bank's credit policy

DNB Bank ASA

Aa2 / A+

(Senior/ short term issuance)

DNB Life and

Asset Management

DNB ASA

DNB

Boligkreditt AS

(Covered Bonds: AAA / Aaa)

6

The Norwegian Economy

7

A Solid Norwegian Economy

Source: 1) OECD Economic Outlook No. 102, November 2017

2) Ministry of Finance (National Budget 2018)

3) Statistics Norway, November 2017

2016 2017 2018

Budget surplus 1) 4.0 % 5.4 % 5.8 %

Oil fund 2) ~ EUR 769 bn ~ EUR 809 bn ~ EUR 843 bn

Unemployment 3) 4.7 % 4.2 % 3.9 %

GDP growth 3) + 1.0 % + 1.9 % + 2.5 %

Central Bank Rate 3) 0.5 % 0.5 % 0.5 %

8

Government Finances are Rock-Solid

Annual budget deficit/surplus forecast for 20181) General government net financial liabilities1)

As per cent of nominal GDP 2018

1) Source: OECD Economic Outlook No. 102, November 2017

-300

-250

-200

-150

-100

-50

0

50

100

150

200

9

0

100

200

300

400

500

600

2006 2008 2010 2012 2014 2016

Annual return, GPFG

Annual net petro cash flow

Annual actual "spending of oil-money"

Government Pension Fund Global 2001 – 3Q 2017, NOK billion

Oil income versus spending 2006 – 2017, NOK billion

0

1000

2000

3000

4000

5000

6000

7000

8000

9000

2001 2004 2007 2010 2013 2016

Source: Ministry of Finance (National Budget 2017), DNB Markets, NBIM

The Growth of the Sovereign Wealth Fund Adds Flexibility

10

Forecasted unemployment Per cent

4.7 4.2 3.9 3.8 3.7

0

2

4

6

8

10

2009 2010 2011 2012 2013 2014 2015 2016 2017F 2018F 2019F 2020F

Statistics Norway (Nov 17)

Among the lowest unemployment in Europe Per cent

Source: OECD Economic Outlook No. 102, November 2017

Unemployment - Among the Lowest in Europe

0

2

4

6

8

10

12

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Denmark Finland Norway Sweden United Kingdom Euro area (16 countries)

11

Economic Growth in Norway is Picking up Again

1.9 % 1.9 %

3.7 %

2.3 % 2.2 %

1.4 % 1.0 %

1.8 % 2.1 % 2.3 % 2.2 %

1.9 %

2.5 % 2.4 % 2.3 %

-1%

0%

1%

2%

3%

4%

5%

6%

2010 2011 2012 2013 2014 2015 2016 2017e 2018e 2019e 2020e

DNB Markets (Jan 18) Statistics Norway (Nov 17)

GDP growth Year on year, per cent

GDP growth Per cent

Source: DNB Markets, Economic Outlook January 2018

-2%

-1%

0%

1%

2%

3%

4%

5%

2013 2014 2015 2016 2017 2018 2019 2020

Norway

Sweden

Denmark

Finland

Euro Area

12

0

1

2

3

4

5

6

7

8

9

10

0

50

100

150

200

250

1990

1992

1994

1996

1998

2000

2002

2004

2006

2008

2010

2012

2014

2016

2018

2020

Constant 2015 prices (lha) Share of GDP (rha)

Oil Investments are Stabilising at a High Level – Lower break-even price ensures a competitive continental shelf

Source: Thomson Datastream, DNB Markets Source: Rystad Energy, Statoil, Wall Street Journal

Break-even price: Sanctioned vs April 2017 USD per barrel, Brent Blend

Petroleum investments in Norway NOK billion, share of GDP in per cent

March 2016 September 2016 Sanctioned

Johan Sverdrup Johan Castberg

80

38

52

35

45

3035

25

April 2017

13

Financial Targets, Performance and Capital

14

Financial Ambitions Towards Year-End 2019

~ 16.1 per cent CET1 ratio 1)

Key performance indicator As capital level

ROE > 12 per cent

Overriding target

< 40 per cent C/I ratio

Dividend policy

Payout ratio > 50 per cent

1) Based on transitional rules.

15

Norway is a Digital Front Runner – Enabling Change

73 83 85 86 83 92 83 80

1 2

9 49

113

156 200

244

2010 2011 2012 2013 2014 2015 2016 2017

Desktop Mobile

Mobile platform driving growth in digital banking Annual visits to our digital platforms in millions

220

116

57

2010 2015 2016

Transforming our branch network Number of branch offices

• 96 % of Norwegians use the internet

• 91 % of Norwegians use online banking services

• 61 % of Norwegian population is using Vipps (payment app)

• 6 % of payments are made in cash

16

DNB Delivers Solid Profit

18.7

28.7

34.1

30.8

28.5

7.7

1.6 2.3

7.4

2.4

0

5

10

15

20

25

30

35

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

Pre-tax operating profit before impairment Impairment of loans

Pre-tax operating profit before impairment NOK billion

17

Reduction in Non-Performing and Doubtful Loans

Includes non-performing commitments and commitments subject to individual impairment. Accumulated individual impairment is deducted.

Includes the Baltics up to 30 September 2017.

Stable development in net non-performing and doubtful loans when adjusting for Baltics

18

Key Financial Ratios

2017 2016 2015 2014 2013

Return on equity (%) 10.8 10.1 14.5 13.8 13.1

Cost income (%) 44.2 40.9 36.9 41.9 45.7

Comb. weighted total average spread (%) 1.30 1.32 1.33 1.31 1.31

Write down ratio (%) 0.15 0.48 0.15 0.12 0.17

Common equity tier 1 ratio (%) 16.4 16.0 14.4 12.7 11.8

Total capital ratio (%) 20.0 19.5 17.8 15.2 14.0

19

DNB CET1 Capital Build-Up

CET1 capital ratio – transitional rules

Per cent

8.5 9.2 9.4

10.7

11.8

12.7

14.4

16.0 16.4

2009 10 11 12 13 14 15 16 2017

Equity development NOK bn

118 127

142

159

190

206 217

2011 2012 2013 2014 2015 2016 2017

20

7.2

5.2 5.2 5.2

4.6 4.4

DNB Nordea SEB Swedbank SHB Danske Bank

Leverage Ratio and RAC-ratios – DNB versus Nordic Peers

Leverage ratio Per cent, 31 December 2017

DNB’s leverage ratio requirement 1)

1) The Norwegian leverage ratio requirement for banks is 5 per cent effective as from 30 June 2017. For systemically important banks, such as DNB,

the minimum requirement is 6 per cent. A potential breach of the leverage ratio requirement will not trigger automatic restrictions on AT1 coupon

payments.

6.0

S&P Risk Adjusted Capital Ratios

(RAC Ratios) Per Cent, 30 June 2017

13.4

12.5

11.2 11.1

10.5 10.2

21

138

101 92

175 160

44

32

40 55

65 89

144

170

141 147

240 249

188

2012 2013 2014 2015 2016 2017

Dividends and Buy-backs

CET1 build up

4.5 % 4.5 %

2.5 % 2.5 %

3.0 % 3.0 %

2.0 % 2.0 %

1.2 % 1.6 %

1.5 % 1.6 %

16.0 % 16.4 %

YE 2016 YE 2017

Management Buffer SREP Requirement

Pillar 2 Requirement Countercyclical Buffer

SIFI Buffer Systemic Risk Buffer

Pillar 1 Minimum Requirement DNB CET 1

DNB Bank Group CET 1

Target

SREP – CET1 Capital Requirements and Generation

1) In accordance with CRD IV, the institution-specific CCyB rate will be a weighted average of the rates in the jurisdictions in which the institution

operates. In Norway the countercyclical buffer is currently 2.0 % and DNB Bank’s effective CCyB rate is approximately 1.6 %.

SREP 15.2 %

~ 16.1 %

• SREP includes Pillar 2 requirements

• Pillar 2 requirements in Norway are not included in the MDA trigger level

• Management buffer must be seen in connection with DNB’s capital generation abilities

Capital generation Basispoints (bps) – transitional rules

22

IFRS 9 / Basel IV / MREL - DNB is well positioned for future regulatory requirements

• IFRS 9

• The implementation effect of IFRS 9 is estimated at NOK 3 billion and is expected to reduce the common

equity Tier 1 capital ratio by approximately 25 basis points.

• DNB will not apply for transitional rules.

• Basel IV

• DNB is well positioned due to already high risk weights.

• The implementation of Basel IV is expected to have minimal effects for DNB.

• MREL

• The Norwegian FSA has not yet given clear indication regarding MREL-requirements.

• DNB is not expecting MREL issuance requirements (“tier 3”) which exceeds the outstanding volume of senior

unsecured debt.

23

MDA – DNB well above CET 1 MDA Trigger Level

• Pillar 2 requirements in Norway are not included in the MDA trigger level

• MDA buffer must be seen in connection with DNB’s capital generation abilities

1) In accordance with CRD IV, the institution-specific CCyB rate will be a weighted average of the rates in the jurisdictions in which the institution

operates. In Norway the countercyclical buffer is currently 2.0 % and DNB Bank’s effective CCyB rate is approximately 1.6 %.

12.0 %

13.2 % 13.6 %

14.4 %

16.0 % 16.4 %

YE 2015 YE 2016 YE 2017

MDA Trigger Level DNB CET 1 DNB Bank Group CET1

138

101 92

175 160

44

32

40 55

65 89

144

170

141 147

240 249

188

2012 2013 2014 2015 2016 2017

Dividends and Buy-backs

CET1 build up

Capital generation Basispoints (bps) – transitional rules

24

DNB: Significantly Higher RW Density than Nordic Peers

Risk Weighted Assets Per cent of total assets, 31 December 2017

Core Equity Tier 1 With and without transitional rules, 31 December 2017

16.4

10.6 12.1

11.0 10.5 9.0

19.4 19.5 17.6

24.6 22.7

DNB SEB Nordea Danske Swedbank SHB

CET1 ratio transitional rules CET1 ratio Basel III

38.6 %

23.9 % 21.6 % 21.3 %

18.5 % 18.4 %

DNB SEB Nordea Danske Swedbank SHB

25

Loan Book and Asset Quality

26

Commercial real estate 10 %

Shipping 5 %

Oil, gas and offshore 6 %

Power and renewables

2 %

Healthcare 2 %

Public sector 4) 0 %

Fishing and fish farming

2 %

Trade 3 %

Manufacturing 4 %

Technology, media and telecom

2 % Services

3 %

Residential property 5 %

Mortgages and other exposures, personal

customers **) 52 %

Other corporate customers

4 %

Loan Book EAD by Segments as of 31 December 2017

Including net non-performing and net doubtful loans and guarantees.

Exposures at default are based on full implementation of IRB. The portfolio banks and financial institutions is still subject to final IRB approval from the Norwegian

FSA (Finanstilsynet).

**) Of which mortgages 45 per cent.

27

Aiming to Reduce Volatility and Increase Profitability Through Rebalancing of the Portfolio

Reducing Exposure in Cyclical Industries USD billion

Rebalancing Between Large Corporates

and Personal Customers

21

11

2012 2017

Shipping

20

13

2014 2017

Oil, gas and offshore

46% 54%

Mortgages and other exposures, personal customers

Corporate loans

52% 48%

2Q 2015 4Q 2017

28

2%

7%

Currentmortgage rate

Mortgage rateincluding stress

test

Mortgage Lending in DNB is Based on Cash Flow

5

%

Willingness to repay the loan

Credit history

Capability of repaying the loan Including 5 per cent interest rate stress

Amortization requirement above 60 % LTV

Max 5x gross income

Collateral LTV max 85 %

Monthly behavior scoring of

borrowers

1.

2.

3.

4.

29

House Prices Fundamental Factors Explaining the Past House Price Increase

Norwegian House Prices

Source: Real Estate Norway, Statistics Norway

Completed housings less

growth in households

Source: Norges Bank, Statistics Norway

Nominal House Prices 2000-2018

Source: Eiendomsverdi AS

(member of the European AVM Alliance)

0

100

200

300

400

500

600

700

800

1985

1988

1991

1994

1997

2000

2003

2006

2009

2012

2015

Nominal prices

CPI-deflated prices

Income per capita-deflated prices

50

100

150

200

250

300

350

2000

2002

2004

2006

2008

2010

2012

2014

2016

2018

Norway UK

Sweden Denmark

USA

-18,000

-16,000

-14,000

-12,000

-10,000

-8,000

-6,000

-4,000

-2,000

0

2,000

4,000

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

30

• House prices peaked in April 2017

• Prices grew by 2 % in January

• House prices are now 2.2 % lower than 12 months ago

• DNB expects a further modest house price drop in 2018

House Price Development in Norway and Oslo 1)

House Price Growth All-time-high = April 2017 for Norway,

February 2017 for Oslo

As of January 2018

-4.2 %

-10.3 %

-2.2 %

-9.4 %

Norway Oslo

Since all-time-high

Last 12 months (Jan 18)



75

100

125

150

175

200

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

Norway Oslo



House Price Growth 1 Jan 2007 = Index 100

1) The methodology for house price data was revised in January 2018, hence there are some differences in data points from previous versions of this

presentation.

31

Mortgage Lending Regulation Tightened Regulation from January 2017 has Impacted House Price Growth

• Max 5x gross income

• Max 85 % LTV

• 60 % for secondary home in Oslo

• Debt servicing capacity

• 5 percentage points interest rate increase

• Amortization requirement above 60 % LTV

• 2.5 % of approved loan or principal payment as for 30 year annuity

• Banks have some flexibility

• Banks can deviate in 10 % of mortgage applications each quarter

• In Oslo this flexibility is limited to 8 % 75

100

125

150

175

200

2014

2015

2016

2017

2018

Norway Oslo

House Price Growth 1 Jan 2007 = Index 100

32

The Cover Pool is Robust Against House Price Declines

House Price Decline Current 10 % 20 % 30 %

WA Indexed LTV 54.0 % 59.8 % 67.3 % 76.9 %

Eligible OC 48.8 % 45.8 % 40.2 % 31.5 %

41%

50% 50%

0%

20%

40%

60%

2015 2016 2017

OC around 50 %

LTV below 55 % (Weighted average)

Stresstest

55% 54% 54%

40%

50%

60%

70%

2015 2016 2017

33

A Very Robust Residential Loan Portfolio

16%

32% 31%

14%

7%

0-40 40-60 60-75 75-85 >85

Loan-to-Value (LTV) Per Cent of Residential Mortgage Book, 31 December 2017

- Includes mortgages in DNB Bank and DNB Boligkreditt

34

Oil-Related Portfolio Represents 5.8 % of Total EaD

6 %

8 %

7 %

11 %

Total loan portfolio – EaD NOK 1 877 billion Per cent, as at 31 December 2017

Oil-related portfolio – EAD NOK 109 billion 5.8 per cent of DNB’s total EaD as at 31 December 2017

3.7 %

2.1 %

2.7 %

0.9 %

2.1 %

• The oil-related portfolio has been reduced significantly

• Down from NOK 167.1bn (8.4 % of total EaD) in September 2015

Oil & Gas

Oilfield services

Offshore

35

46

21

33

9

Low risk Medium risk High risk Net non-performingand net doubtful

commitments

3

8

22

8


commitments

Oil-Related Portfolio Offshore the Most Challenging Sector

DNB’s oil-related portfolio split by sub-segment in terms of exposure (EaD) and by risk grade

Total Oil related segments EaD in NOK billion

Offshore EaD in NOK billion

Oil and Gas EaD in NOK billion

Oilfield Service EaD in NOK billion

36

7 7 1


commitments

8 7 3 1


commitments

31.03.2016 30.06.2016 30.09.2016 31.12.2016

31.03.2017 30.06.2017 30.09.2017 31.12.2017

Probability of default (per cent)

Low risk 0.01 – 0.75

Medium risk 0.75 – 3.00

High risk 3.00 - impaired

36

Offshore Exposure is 2.1 % of DNB’s Total Loan Portfolio


2.1 %

1.1 %

0.7 %

0.3 %

Offshore exposure – EaD NOK 40 billion Per cent of DNB’s portfolio, as at 31 December 2017

Offshore Supply Vessels (OSV)

Other offshore

Rig

37

Shipping Exposure is 4.7 % of DNB’s Total Loan Portfolio The Shipping Portfolio is Well Diversified

6 %

8 %

7 %

11 %


Shipping portfolio* – EaD NOK 88 billion Per cent of DNB’s total EAD, as at 31 December 2017

4.7 %

1.1 %

0.9 %

0.7 %

0.8 %

0.6 %

0.6 % Crude oil tankers

Dry bulk

Gas

Container

Other shipping

Chemical and product tankers

* Excluding offshore portfolio. Offshore is included in oil-related portfolio.

• The shipping portfolio has been reduced significantly

• Down from NOK 138.1bn (6.9 % of total EAD) in September 2015

38

Risk Classification and Migration DNB’s Shipping Book - Excluding Offshore

Shipping* – EaD distribution by PD bracket NOK billion

16

56

14

2

Low risk Medium risk High risk Net non-performing and net doubtful

commitments

31.03.2016 30.06.2016 30.09.2016 31.12.2016 31.03.2017 30.06.2017 30.09.2017 31.12.2017

* Numbers for the Shipping Offshore and Logistics Division excluding offshore

portfolio. Offshore is included in oil-related portfolio.

39

Previous Shipping Experience Provides Comfort

Accumulated shipping impairments, 2010-2014 Per cent of lending book

2.4

5.1

8.6

21.5

DNB (shipping) Nordic peer (shipping and offshore) Norwegian banks (shipping and pipe

transportation)*

European peer (Shipping)

*Aggregate numbers for Norwegian banks are from the 2009-2013 period (including DNB)

Source: DNB Markets, company reports. Presented at DNB CMD 2015.

40

Funding

41

DNB Funding Structure

79%

105%

2012 2013 2014 2015 2016 2017

Net Stable Funding Ratio (NSFR)

2.4

4.1

2008 2010 2012 2014 2016

Average Life of Long-term Funding

Senior debt and covered bonds, years

Ratio of Deposits to Net Loans

Per Cent

50 53

55 58

63 65 65

61 62 63

42

DNB is a Well Established International Borrower With a Strong Focus on Diversification of Funding Sources

• DNB Bank

• EMTN program of EUR 45 billion

• Samurai Shelf (JPY) JPY 500 billion

• USD 144A program USD 10 billion

• USCP program of USD 18 billion

• Yankee CD program of USD 15 billion

• ECP/CD program of EUR 15 billion

• DNB Boligkreditt (Covered Bonds)

• Covered Bond program of EUR 60 billion

• Covered Bond program of USD 12 billion

43

Issuance of Long Term Debt

2018 EURO bill Tenor

Covered Bonds 1.9 8.6

Senior Bonds 0.0 0.0

Sum 1.9 8.6

Tier 1 / Tier 2 0.2

Total 2.1




Sum 9.1 7.0

Tier 1 / Tier 2 1.1

Total 10.2




Sum 9.8 7.1

Tier 1 / Tier 2 0.9

Total 10.7

44

A Well Established International Covered Bond Issuer

Volume

Tenor

Maturity

EUR 1,500 mn 5 years 2018 – Nov

EUR 1,500 mn 7 years 2019 – Jun

EUR 1,250 mn 5 years 2019 – Oct

EUR 1,250 mn 5 years 2020 – Oct

EUR 1,500 mn 5 years 2021 – Jan



EUR 2,000 mn 10 years 2022 – Mar

EUR 1,000 mn 10 years 2022 – Nov

EUR 1,500 mn 5 years 2023 - Jan

EUR 1,500 mn 7 years 2023 – Apr

EUR 1,500 mn 7 years 2024 - Nov

EUR 1,500 mn 10 years 2026 – Sep

EUR 1,000 mn (FRN) 5 years 2019 – Jan

EUR 1,000 mn (FRN) 7 years 2021 – Nov

USD 2,000 mn 5 years 2018 - Mar

USD 1,250 mn 5 years 2020 - May

USD 1,500 mn 5 years 2022 - Mar

GBP 500 mn (FRN) 5 years 2020 - Feb

45

DNB Senior Curve

Volume

Tenor

Maturity


EUR 2,000 mn 10 years 2021 – Feb


EUR 750 mn 7 years 2023 – Feb



EUR 650 mn (FRN) 5 years 2020 – Aug

USD 1,250 mn 3 years 2020 – Oct

USD 1,250 mn 5 years 2021 – Jun

USD 500 mn (FRN) 3 years 2020 – Oct

USD 250 mn (FRN) 5 years 2021 – Jun

46

Funding Contacts

Long Term Funding: Short Term Funding:

• Thor Tellefsen

Senior Vice President, Head of Long Term Funding

Phone direct: + 47 24 16 91 22

Mobile: + 47 915 44 385

E-mail: [email protected]

• Håkon Røsand

Senior Vice President, Long Term Funding

Phone direct: + 47 24 16 91 27

Mobile: + 47 906 16 892

E-mail [email protected]

• Lars Ekeland

Senior Vice President, Long Term Funding

Phone direct: + 47 24 16 91 25

Mobile: + 47 916 07 053

E-mail: [email protected]

• Åsmund Midttun

Senior Dealer, Rates, FICC

Phone direct: +47 24 16 90 28

Mobile: +47 901 13 559

E-mail: [email protected] / [email protected]

• Erik Brække

Senior Vice President, Rates, FICC

Phone direct: +47 24 16 90 31

Mobile: +47 930 47 504


• Stephen Danna

First Vice President, FX/Rates/Commodities, New York

Phone direct: +1 212 681 2550

Mobile: +1 646 824 0072


https://www.ir.dnb.no/funding-and-rating

mailto:[email protected]















47

Appendix

Appendix A:

Cover Pool Portfolio Information and LCR

Eligibility

48

Future Updates On Cover Pool Developments

DNB has implemented the common Harmonised Transparency Template of

the European Covered Bond Council which is available on the DNB website.

Information about the cover pool of DNB Boligkreditt may be accessed via

DNB’s web page:

https://www.ir.dnb.no/funding-and-rating/cover-pool-data

Contacts DNB Boligkreditt AS:

- Per Sagbakken, CEO: [email protected] +47 906 61 159

Portfolio information is updated when DNB quarterly results are released











49

Cover Pool

Data

DNB Boligkreditt Covered Bonds – Cover Pool Data

Rating (Moody’s/S&P) Aaa/AAA

Cover Pool Size (million) 620,637

No. of Mortgages in the Cover Pool 412,374

Average Loan Balance (thousands) 1,505

Regulatory Overcollateralisation Requirement 2.0 %

Overcollateralisation 49.9 %

Weighted Average LTV (Indexed) 54.0 %

Pool statistics as of 31 December 2017. Cover pool reporting coincides with DNB quarterly financial reporting.

Stresstest

House Price Decline Current 10 % 20 % 30 %

WA Indexed LTV 54.0 % 59.8 % 67.3 % 76.9 %

Eligible Overcollateralisation 48.8 % 45.8 % 40.2 % 31.5 %

Cover Pool Sensitivity Analysis

50

Well diversified residential mortgage book within Norway

DNB Boligkreditt cover pool as of 31 December 2017

Eastern Norway 66 %

Western Norway 16 %

Northern Norway 8 %

Southern Norway 5 %

Mid- Norway 5 %

1.3 %

2.7 %

3.7 %

1.1 %

4.2 % 1.6 %

0.3 %

7.8 %

6.4 %

1.6 % 1.4 %

2.0 %

6.1 %

6.5 %

3.0 %

1.8 %

5.8 %

19.0 %

24.0 %

51

Portfolio Characteristics

Report date: 31.12.2017

Report currency: NOK

Key Characteristics Overcollateralisation

Total cover pool, nominal balance* (mill.) 620,637 Cover pool size:

Number of mortgages 412,374 Residential mortgages, loan balance (mill.) 620,637

Number of borrowers 348,546 Covered bonds outstanding (mill.) 414,167

Average loan balance (thousands) 1,505 Overcollateralisation 49.9 %

Outstanding covered bonds, nominal balance (mill.) 414,167

Substitute assets (% of total cover pool) 0.0

WA indexed LTV (%) 54.0

WAL of cover pool (contractual maturity in years) 12.7

WAL of outstanding covered bonds (extended maturity in years) 5.1

* All cover pool assets are denominated in NOK.

** Seasoning indicates the number of months since collateral for the loan was established.

Maturity Structure Cover Pool Maturity Structure Covered Bonds

Contractual maturity (years) Loan balance (mill.) % Extended maturity (years) Loan balance (mill.) %

≥ 0 ≤ 1 21,243 3.4 % ≥ 0 ≤ 1 6,934 1.7 %

1 ≤ 2 22,487 3.6 % 1 ≤ 2 65,513 15.8 %

2 ≤ 3 24,032 3.9 % 2 ≤ 3 56,445 13.6 %

3 ≤ 5 52,260 8.4 % 3 ≤ 5 109,855 26.5 %

5 ≤ 10 138,810 22.4 % 5 ≤ 10 148,177 35.8 %

> 10 361,805 58.3 % > 10 27,245 6.6 %

Total 620,637 100.0 % Total 414,167 100.0 %

Expected maturity (years) Loan balance (mill.) %

≥ 0 ≤ 1 67,949 16.4 %

1 ≤ 2 55,394 13.4 %

2 ≤ 3 51,680 12.5 %

3 ≤ 5 134,802 32.5 %

5 ≤ 10 77,469 18.7 %

> 10 26,872 6.5 %

Total 414,167 100.0 %

52

Portfolio Characteristics cont.

Loan Size Concentration Risk

Private individuals Loan balance (mill.) Number of loans %

≤ 1,000,000 77,413 177,873 10 largest exposures 0.2 %

> 1,000,000 ≤ 2,000,000 184,899 124,682 10 largest exposures excl. housing cooperatives 0.1 %

> 2,000,000 ≤ 3,000,000 155,986 63,960

> 3,000,000 ≤ 4,000,000 86,635 25,185 Property Types

> 4,000,000 ≤ 5,000,000 44,645 10,037 Loan balance (mill.) %

> 5,000,000 52,948 8,024 Residential 620,637 100.0 %

Total 602,526 409,761 Commercial 0 0.0 %

Other 0 0.0 %

Housing Cooperatives Loan balance (mill.) Number of loans Total 620,637 100.0 %

≤ 5,000,000 2,955 1,681

> 5,000,000 ≤ 10,000,000 3,084 430 o/w Housing Cooperatives / Multi-family assets 18,110 2.9 %

> 10,000,000 ≤ 20,000,000 4,399 314 o/w Forest & Agriculture 0 0.0 %

> 20,000,000 ≤ 50,000,000 4,872 154

> 50,000,000 ≤ 100,000,000 1,907 28 Occupancy Type

> 100,000,000 893 6 %

Total 18,110 2,613 Owner occupied 86.4%

Second homes / Holiday houses 0.3%

LTV buckets Buy to let / Non owner occupied houses 0.1%

Indexed LTV Loan balance (mill.) % Other 13.2%

≥ 0 ≤ 40 131,779 21.2 % Total 100.0%

40 ≤ 50 92,271 14.9 %

50 ≤ 60 134,488 21.7 % Repayment Type

60 ≤ 70 147,028 23.7 % %

70 ≤ 80 99,053 16.0 % Amortization 74.4 %

80 ≤ 90 11,073 1.8 % Interest only* 25.6 %

90 ≤ 100 2,630 0.4 % Total 100.0 %

>100 2,314 0.4 % *No principal payments for a limited period of time.

Total 620,637 100.0 %

53

Portfolio Characteristics cont.

Seasoning Non Performing

% Non performing loans 0.10 %

Up to 12months 18.1 %

≥ 12 - ≤ 24 months 16.5 % Arrears

≥ 24 - ≤ 36 months 12.8 % ≥ 30 - < 60 days 0.11 %

≥ 36 - ≤ 60 months 16.4 % ≥ 60 - < 90 days 0.03 %

≥ 60 months 36.2 % ≥ 90 - < 180 days 0.04 %

Total 100.0 % ≥ 180 days 0.07 %

Interest Rate Type

Fixed Rate 6.4 %

Floating Rate 93.6 %

Geographical Distribution

Loan balance (mill.) % Eastern Norway: 66 %

Østfold 35,730 5.8 % Western Norway: 16 %

Akershus 117,934 19.0 % Northern Norway: 8 %

Oslo 148,650 24.0 % Southern Norway: 5 %

Hedmark 11,328 1.8 % Mid-Norway: 5 %

Oppland 18,373 3.0 %

Buskerud 37,641 6.1 %

Vestfold 40,081 6.5 %

Telemark 12,662 2.0 %

Aust-Agder 8,498 1.4 %

Vest-Agder 9,791 1.6 %

Rogaland 39,598 6.4 %

Hordaland 48,478 7.8 %

Sogn og Fjordane 1,663 0.3 %

Møre og Romsdal 9,727 1.6 %

Sør-Trøndelag 25,864 4.2 %

Nord-Trøndelag 6,972 1.1 %

Nordland 22,837 3.7 %

Troms 16,738 2.7 %

Finmark 8,064 1.3 %

Svalbard 9 0.0 %

Total 620,637 100.0 %

54

Cover Pool Sensitivity Analysis and Overcollateralisation History

Cover Pool Overcollateralisation History

Latest overcollateralisation requirement

for AAA/Aaa rating:

• S&P: 15.3 %

• Moody’s: 0 %

Stresstest - House price decline

House price decline Current 10 % 20 % 30 %

Total cover pool balance (nominal, NOKbn) 620,637 620,637 620,637 620,637

WA indexed LTV (%) 54.0 59.8 67.3 76.9

Eligible cover pool balance (nominal, NOKbn) 616,344 603,753 580,868 544,462

Total outstanding covered bonds (nominal, NOKbn) 414,167 414,167 414,167 414,167

Eligible overcollateralization 48.8 % 45.8 % 40.2 % 31.5 %

0.0 %

10.0 %

20.0 %

30.0 %

40.0 %

50.0 %

60.0 %

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

Actual OC Rating requirements

55

Net Non Performing Loans in DNB Boligkreditt AS

0.00%

0.10%

0.20%

0.30%

90+ days Arrears

10 bp

56

Covered Bonds Issued by DNB Boligkreditt AS Qualifies for Level 1-Assets Pursuant to LCR-regulation (Slide 1 of 2)

Covered bonds issued by DNB Boligkreditt AS fulfil the requirements to qualify as

Level 1-assets pursuant to Commission Delegated Regulation (EU) 2015/61

regarding liquidity coverage requirement for credit institutions (“LCR-regulation”).

With reference to Article 10(1)(f) of the LCR-regulation, DNB Boligkreditt AS

confirms the following:

• Covered bonds issued by DNB Boligkreditt AS meet the requirements to be

eligible for the treatment set out in Article 129(4) of Regulation (EU) No

575/2013 (“CRR”) and the requirements referred to in Article 52(4) of Directive

2009/65/EC, cf. the European Commission’s website:

http://ec.europa.eu/finance/investment/legal_texts/index_en.htm

• The exposures to institutions in the cover pool meet the conditions laid down

in Article 129(1)(c) and in Article 129(1) last subparagraph of CRR

http://ec.europa.eu/finance/investment/legal_texts/index_en.htm

57

Covered Bonds Issued by DNB Boligkreditt AS Qualifies as Level 1-Assets Pursuant to LCR-regulation (Slide 2 of 2)

With reference to Article 10(1)(f) of the LCR-regulation, DNB Boligkreditt AS

confirms the following (cont.):

• DNB Boligkreditt AS gives the information required in Article 129(7) of CRR

to its investors

• Covered bonds issued by DNB Boligkreditt AS are assigned a credit

assessment by a nominated ECAI which is at least credit quality step 1 in

accordance with Article 129(4) of CRR, and the equivalent credit quality step

in the event of short term credit assessment

• The cover pool does at all times meet an asset coverage requirement of at

least 2 % in excess of the amount required to meet the claims attaching to

the covered bonds issued by DNB Boligkreditt AS

58

ECB Eligibility and CRD-Compliance of Covered Bonds Issued by DNB Boligkreditt AS

• All covered bonds issued by DNB Boligkreditt AS fulfil the eligibility criteria for

marketable assets set by the Eurosystem and are thus eligible for Eurosystem monetary

policy operations.

• The Eurosystem set additional criteria for own use of eligible instruments in the

Eurosystem monetary policy operations. In the case of covered bonds, the instruments

must be issued in accordance with the criteria set out in Part 1, points 68 to 70 of Annex

VI to Directive 2006/48/EC. The covered bonds issued by DNB Boligkreditt AS fulfil these

criteria, but the Eurosystem has not checked the fulfilment of these conditions for

Norway, since Norway is not part of the EU. Therefore, covered bonds issued by DNB

Boligkreditt AS are marked with a "N/A" what regards ‘own-use covered bonds’ in ECB's

eligible asset database.

• DNB Boligkreditt AS confirms that the covered bonds it issues are compliant with

the CRD-requirement set forth in the Eurosystem guidelines. In addition, DNB

Boligkreditt AS confirms that it gives the information required in Regulation (EU) No

575/2013 ("CRR") article 129 (7) to its investors, so that the covered bonds issued by DNB

Boligkreditt AS are eligible for the preferential treatment set out in CRR article 129 (4).

59

Appendix

Appendix B:

Digitalization/Vipps

60

Strategic Partnership to Fend Off International Competition

105 Norwegian banks rally around the Vipps payment platform, while an additional four banks have a distribution agreement

109 out of 128

Norwegian banks

are distributing

Vipps

Vipps – a single, strong and distinct payment service

provider

Two main bank-backed competitors in the mobile payment

market have terminated their operations

Norwegian banks stand united behind the Vipps platform;

ensures strong distribution

Vipps spun off as an autonomous joint venture

105 banks as owners

Four banks with distribution agreements

DNB as the majority shareholder

61

Norway Loves Vipps

95%

The fastest growing brand in Norway

Brand recognition

Growth in user base by age group

Source: Statistics Norway

60+

15-29

40-49

50-59

30-39

Per cent of population Age group

2017 2016

79%

62%

76%

57%

50%

71%

41%

14%

63%

29%

62

Expanding from a P2P service to a leading payment platform

Strong link between P2P customer base and

P2B attractiveness

61 per cent of the Norwegian population (above the age

of 15) is using Vipps P2P

>45 000 businesses, associations and sports clubs accept

payments via Vipps P2B

InStore solution in pilot with McDonalds

22 per cent of transactions are generating fees

Expanding to the Nordics

Ambition to make Vipps the preferred payment partner for

companies operating across the Nordics

Will make our technological platform available across the

Nordics

1.8

1.4

0.6

0.2

2.2

2.6

1.0

P2P users (lhs)

Fee-based transactions, per cent (P2B share of total transactions)

5%

15%

25%

35%

45%

May15 Sept.15 Jan.16 May16 Sept.16 Jan.17 May17 Sept.17

Vipps roadmap

P2P eCom Invoice Spinoff

Leveraging on a strong P2P customer base to increase the number of fee-based transactions

22%

2.6

P2B InStore

Active users, million

Highlights

Settle

63

Appendix

Appendix C:

The Norwegian Mortgage Market

64

The Norwegian Residential Mortgage Market

• Nearly 80% of Norwegians own their home: • Few mortgages are buy-to-let.

• Norway is primarily a floating interest rate market: • The large majority of mortgages originated by DNB are floating rate.

• Rates on floating rate mortgages can be reset at any time and at the bank’s own

discretion, by giving debtors six weeks’ notice.

• Loans are normally underwritten with a term of 15-25 years: • Average size for new mortgages originated by DNB is approximately NOK 1,000,000

(EUR 110,000).

• In Norway, all borrowing costs are deductible from taxable income at

the current rate of 24 %: • Households are therefore better able to withstand an increase in interest rates.

Source: Finance Norway - FNO

65

Appendix

Appendix D:

Capital and Tier 1

66

Capital Adequacy Across the Key Relevant Entities

DNB has to meet all capital requirements on DNB ASA group level (“DNB”), DNB Bank Group level

(“DNB Bank Group” ) and DNB Bank ASA solo level (“DNB Bank”)

CET1 and Total Capital Ratio Transitional rules, per 31.12.17

16.4 % 16.2 %

17.9 %

20.0 % 20.6 %

23.3 %

DNB DNB Bank Group DNB Bank ASA

CET1 Total Capital Ratio

67

Overall Capital Requirements under SREP

• Pillar 1 capital requirements in Norway consist of minimum requirements and

combined buffer requirements

• As a result of the SREP, the supervisors may decide on additional capital add-on (pillar

2), which together with the pillar 1 requirements form the Overall capital

requirement

• If there is a breach of the combined buffer requirements under Pillar 1, there will be

automatic restrictions on dividends etc. (ref. CRD IV article 141)

• However a breach of the Overall capital requirement under SREP will not cause

automatic restrictions:

• The Bank will have to present a plan to the NFSA how to restore the capital ratios

• If the plan is not sufficient, the NFSA will consider other measures.

• The measures will depend on the reasons behind the breach

68

Pillar 2 not Included in the MDA Trigger Level in Norway

MDA restrictions will only apply if there is a breach of the

Pillar 1 requirements

(Minimum capital requirements + Combined buffer requirements)

Pillar 2 requirements in Norway do not influence the MDA

trigger level

• Stated in a letter from the Ministry of Finance dated 15 January 2016

• Confirmed by the NFSA in a response letter dated 15 February 2016, and stated in a

circular from the NFSA dated 27 June 2016

69

DNB’s Solid Profitability Should Ensure AT1 Coupon Payments

Dividend payments on ordinary shares and coupon

payments on Additional Tier 1 (AT1) instruments are at the

discretion of the issuer

* Statement given at the DNB Capital Markets Day (27 November 2014)

31.9

23.4

26.9

0.1 0.5 1.0 1.0 1) 2.9

7.3 9.3

15.2

0

5

10

15

20

25

30

35

40

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Profit Before Tax AT1 Coupon Payments Dividend and share buy-back

DNB will give due consideration to

the capital hierarchy and look to

preserve the seniority of claims

going forward*

1) Estimated AT1 coupon payments.

70

Leverage Ratio Requirement

• Norwegian leverage ratio requirement effective as from 30 June 2017:

• Minimum leverage ratio 3 % 1)

• Bank requirement 2 %

• SIFI requirement 1 %

Total SIFI/DNB requirement 6 %

• As at 31 December 2017, DNB Group reported a leverage ratio of 7.2 %

Well above regulatory requirement

• A breach of the leverage ratio requirements will not trigger automatic

restrictions on AT1 coupon payments.

• If there is a breach of the leverage ratio requirement, the financial

institution will have to present to the NFSA a plan how to restore the

leverage ratio.

Regulation dated 20 December 2016

1) Requirement for credit institutions such as DNB Boligkreditt AS.

71

The DNB Bank Group will need to record a significant net loss in order to reach the MDA trigger level

Average profit before loan losses 2016 – 2017: NOK 29.7 bn

+ Buffer to MDA: (16.2 % - 13.6 %): NOK 26.3 bn

= “Loan loss capacity” 12 month horizon NOK 56.0 bn

Note:

“Loan loss capacity” in per cent of net loans: 3.2 per cent.

72

ADI – Available Distributable Items

• Items available for distribution is defined in the Norwegian Public Limited

Company Act:*

Following this definition the ADI level is calculated as follows:

ADI = total equity – share capital – fund for unrealized gains

DNB Bank ASA (31 December 2016):

ADI = NOK 168bn – 18bn – 2bn = NOK 148bn

=> Due to the significant amount available for distribution, we don’t assess the

ADI as a potential restriction for coupon payments.

73

Appendix

Appendix E:

Additional Slides

- Financial performance and Other information

Driven by an increase in net interest income and net commissions and fees compared with 2016

Backed by strong Norwegian macroeconomic fundamentals and profitable growth

Lower impairment losses

Pre-tax operating profit NOK million

74

Improved performance through 2017 in all customer segments

9,662 9,995

4,762

5,899

5,240

9,043

2016 2017 2016 2017 2016 2017

Large corporates and

international customers

Small and medium-sized

enterprises Personal customers

75

Income Statement

Full year Full year

Amounts in NOK million 4Q17 3Q17 4Q16 2017 2016

Net interest income 8,863 9,007 8,372 35,422 34,110

Net commissions and fees 2,064 2,150 2,136 8,448 8,280

Net gains on financial instruments at fair value 1,693 1,065 1,689 4,548 6,513

Net financial and risk result, DNB Livsforsikring 266 335 232 1,295 664

Net insurance result, DNB Forsikring 164 176 181 683 648

Other operating income 228 197 (9) 744 1,948

Net other operating income, total 4,415 3,922 4,230 15,718 18,053

Total income 13,278 12,929 12,602 51,140 52,163

Operating expenses (5,346) (5,321) (5,213) (21,429) (20,693)

Restructuring costs and non-recurring effects (672) (199) 19 (1,165) (639)

Pre-tax operating profit before impairment 7,260 7,409 7,409 28,547 30,830

Net gains on fixed and intangible assets (35) 750 (12) 738 (19)

Impairment of loans and guarantees (402) (867) (1,753) (2,428) (7,424)

Pre-tax operating profit 6,823 7,292 5,644 26,858 23,387

Tax expense (446) (1,677) (290) (5,054) (4,140)

Profit from operations held for sale, after taxes (3) 33 26 (1) 4

Profit for the period 6,374 5,648 5,380 21,803 19,251

Profit attributable to shareholders 6,132 5,430 5,143 20,865 18,656

Net impairment losses reduced mainly due to reversals (of collective impairment)

76

Positive macroeconomic

development

Reduction in high-risk

volumes

Positive portfolio migration

Full Year Full Year

Amounts in NOK million 4Q17 3Q17 2017 2016

Personal customers (126) (60) (234) 341

- Mortgage loans (37) (2) (84) 490

- Other exposures (88) (58) (150) (149)

Small and medium-sized enterprises (102) (135) (463) (1 088)

Large corporates and international customers (1 465) (791) (2 999) (4 533)

- Shipping, Offshore and Logistics (844) (238) (1 720) (2 988)

- Energy 4 (189) (364) (1 126)

- International Corporates 26 (238) (205) (25)

- Nordic Corporates (651) (94) (759) (283)

- Other (0) (32) 50 (112)

Total individual impairment (1 693) (985) (3 696) (5 280)

Total collective impairment of loans 1 292 118 1 268 (2 144)

Impairment of loans and guarantees (402) (867) (2 428) (7 424)

Total impairment in relation to average volumes, annualised (0.10) (0.22) (0.15) (0.48)

Total impairment in relation to exposure at default (0.13)

77

Oil Price - Assumptions from DNB Markets (Aug 2017)

78

Disclaimer

• This material has been prepared on the basis of the information provided by DNB Bank ASA (referred to as "DNB Bank") and public available sources. DNB ASA – the holding company of the DNB group is referred to as "DNB " in this presentation.

• This material is presented solely for information purposes and is not to be construed as a solicitation or an offer to buy or sell any securities or related financial instruments and should not be treated as giving investment advice. It has no regard to the specific investment objectives, financial situation or particular needs of any recipient. No representation or warranty, either express or implied, is provided in relation to the accuracy, completeness or reliability of the information contained herein. It should not be regarded by recipients as a substitute for the exercise of their own judgment. Any opinions expressed in this material are subject to change without notice and DNB Bank is not under any obligation to update or keep current the information contained herein. In addition, institutions mentioned in this material, their affiliates, agents, directors, partners and employees may make purchases and/or sales of the Notes as principal or agent or may act as market maker or provide investment banking or other services in respect of the Program or the Notes which may be issued from time to time thereunder. DNB, the Arranger and the Dealers and their respective affiliates, agents, directors, partners and employees accept no liability whatsoever for any loss or damage of any kind arising out of the use of all or any part of this material.

• The Notes are not to be offered or sold in any jurisdiction in circumstances in which the distribution of this document or the Notes would be prohibited in such jurisdiction. This document must not be acted on or relied on by persons who are not eligible to invest in the Notes. Any investment or investment activity to which this communication relates is available only to persons eligible to invest in the Notes and will be engaged in only with such persons.

• Furthermore, you should consult with your own legal, regulatory, tax, business, investment, financial and accounting advisers to the extent that you deem it necessary, and make your own investment, hedging and trading decisions (including decisions regarding the suitability of an investment in the Notes which may be offered from time to time) based upon your own judgment and advice from such advisers as you deem necessary and not upon any view expressed in this presentation.

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